Table 4.

Asymmetric dynamic correlation coefficient and contagion test.

	Mean	Variance	|t statistics|
Pre-crises China-US	0.1924	0.0009	1.77**
Crises China-US	0.3172	0.0010
Pre-crises China-Japan	−0.2753	0.0037	0.07
Crises China-Japan	−0.5024	0.1136
Pre-crises China-South Korea	0.3991	0.0063	3.69***
Crises China-South Korea	0.5693	0.0019
Pre-crises China-Germany	0.2026	0.0086	13.60***
Crises China-Germany	0.5454	0.0045
Pre-crises China-India	0.3128	0.0020	6.13***
Crises China-India	0.4243	0.0012
Pre-crises China-Netherlands	0.2235	0.0078	0.49
Crises China-Netherlands	0.4363	0.0343
Pre-crises China-UK	0.2460	0.0030	0.77
Crises China-UK	0.4680	0.0113
Pre-crises China-Singapore	0.3938	0.0029	22.20***
Crises China-Singapore	0.4440	0.0000
Pre-crises China-Taiwan	0.3938	0.0029	3.55***
Crises China-Taiwan	0.5761	0.0030
Pre-crises China-Russia	0.1733	0.0005	3.77***
Crises China-Russia	0.3109	0.0259
Pre-crises China-Australia	0.2800	0.0000	257.00***
Crises China-Australia	0.3955	0.0000
Pre-crises China-Canada	0.1881	0.0000	14.40***
Crises China-Canada	0.5417	0.0193
Pre-crises China-Brazil	0.1614	0.0000	140.00***
Crises China-Brazil	0.3967	0.0000
Pre-crises China-France	0.2226	0.0062	1.17
Crises China-France	0.3742	0.0190
Pre-crises China-Thailand	0.3938	0.0029	4.86***
Crises China-Thailand	0.3912	0.0059
Pre-crises China-Italy	0.0738	0.0000	4.79***
Crises China-Italy	0.2952	0.1300
Pre-crises China-Spain	0.1845	0.0047	1.81**
Crises China-Spain	0.2911	0.0316

Note: pre-crisis period is from 02.07.2015 to 29.11.2019. The crisis period is from 02.12.2019 to 31.07.2020.

***, ** and * indicate the significance level at 1%, 5%, 10% respectively.